摘要
本文基于对风险项目及其“孪生证券”风险和收益特性的分析 ,认为真正的“孪生证券”实际中很难存在 ,进而提出利用“近似孪生证券”与无风险证券构造资产组合来复制实物期权收益特征 ,利用无风险套利分析确定项目实物期权价值的方法。但考虑到管理人因素造成的实物期权内部风险特征的不可复制性 ,本文进一步提出利用“确定性等值”将内部风险价值V1具体化 ,从而实现对“近似孪生证券”方法进行修正。
In this paper,we analyze the risk and revenue charactristic of venture project and its“twin-security”,and find that it's almost impossible to get a perfect “twin-security”in practice,so we suggest that“approximate twin-security”and risk-free security should be used to form asset portfolio to replicate the revenue characteristic of real option,and then project real option can be valued by conducing non-arbitrage analysis.But considering that the internal risk characteristic of real option can't be replicated when manager-related factors are dealt with,we modify the “approximate twin-security”method by using“effective certain equivalent”to make clear internal risk value at last.
出处
《运筹与管理》
CSCD
2003年第1期105-109,共5页
Operations Research and Management Science
关键词
风险项目
实物期权
近似孪生证券
管理人因素
确定性等值
real option
approximate twin-security
manager-related factors
effective certain equivalent
